equicorrelation.test: Equicorrelation test

In MVT: Estimation and Testing for the Multivariate t-Distribution

Equicorrelation test

Description

Performs several test for testing that the covariance matrix follows an equicorrelation (or compound symmetry) structure. Likelihood ratio test, score, Wald and gradient can be used as a test statistic.

Usage

equicorrelation.test(object, test = "LRT")

Arguments

object	object of class 'studentFit' representing the fitted model.
test	test statistic to be used. One of "LRT" (default), "Wald", "score" or "gradient".

Value

A list of class 'equicorrelation.test' with the following elements:

statistic	value of the statistic, i.e. the value of either Likelihood ratio test, Wald, score or gradient test.
parameter	the degrees of freedom for the test statistic, which is chi-square distributed.
p.value	the p-value for the test.
estimate	the estimated covariance matrix.
null.value	the hypothesized value for the covariance matrix.
method	a character string indicating what type of test was performed.
null.fit	a list representing the fitted model under the null hypothesis.
data	name of the data used in the test.

References

Sutradhar, B.C. (1993). Score test for the covariance matrix of the elliptical t-distribution. Journal of Multivariate Analysis 46, 1-12.

Examples

data(examScor)
fit <- studentFit(examScor, family = Student(eta = .25))
fit

z <- equicorrelation.test(fit, test = "LRT")
z

MVT documentation built on Feb. 16, 2023, 8:29 p.m.